Despite a growing interest in understanding the cognitive deficits associated with major depressive disorder (MDD), it is largely unknown whether such deficits exist before disorder onset or how they might influence the severity of subsequent illness. The purpose of the present study was to conduct a systematic review and meta-analysis of longitudinal datasets to determine whether cognitive function acts as a predictor of later MDD diagnosis or change in depression symptoms. Eligible studies included longitudinal designs with baseline measures of cognitive functioning, and later unipolar MDD diagnosis or symptom assessment. The systematic review identified 29 publications, representing 34 unique samples, and 121 749 participants, that met the inclusion/exclusion criteria. Quantitative meta-analysis demonstrated that higher cognitive function was associated with decreased levels of subsequent depression (r = −0.088, 95% confidence interval. −0.121 to −0.054, p < 0.001). However, sensitivity analyses revealed that this association is likely driven by concurrent depression symptoms at the time of cognitive assessment. Our review and meta-analysis indicate that the association between lower cognitive function and later depression is confounded by the presence of contemporaneous depression symptoms at the time of cognitive assessment. Thus, cognitive deficits predicting MDD likely represent deleterious effects of subclinical depression symptoms on performance rather than premorbid risk factors for disorder.